News & Events

Subscribe to email list

Please select the email list(s) to which you wish to subscribe.
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Enter the characters shown in the image.

User menu

You are here

Conditional extremes in asymmetric financial markets

Tuesday, July 7, 2015 - 11:00
Jinyuan Zhang, MSc. student, Statistics, UBC
Statistics Seminar
Room 4192, Earth Science Buildling, 2207 Main Mall

The report focuses on the estimation of the probability distribution of a bivariate random vector given that one of the components takes on a large value. These conditional probabilities can be used to quantify the effect of financial contagion when the random vector represents losses on financial assets and as a stress-testing tool in financial risk management. In the context of risk management, the main interest lies in the tails of the underlying distribution. In such cases, empirical probabilities fail to provide adequate estimates while fully parametric methods are subject to large model uncertainty as there is too little data to assess the model fit in the tails. We propose a semi-parametric framework using asymptotic results in the spirit of extreme values theory. The main contributions include an extension of the limit theorem in {Abdous2005a} [Canad. J. Statist. 33 (2005)] to allow for asymmetry, frequently encountered in financial and insurance applications, and a new approach for inference.